InsidersTradesSigma
Performance & Risk Metrics
A risk-adjusted performance metric that divides excess return by the maximum drawdown duration, penalizing strategies with prolonged recovery periods.
The Burke Ratio brings the duration of drawdowns into the picture. Where the Calmar Ratio looks only at the single worst peak-to-trough magnitude, Burke factors in how long the portfolio stayed underwater before recovering. A strategy with sharp but brief drawdowns therefore scores higher than one with moderate losses that drag on for many trading days.
A high Burke Ratio means the strategy recovers quickly from setbacks; a low one means losses tend to linger. Because it penalizes time spent below the high-water mark, the ratio rewards strategies that get back to even fast rather than those that bleed slowly.